This paper examines the performance of the U.S.~commercial banking industry over 1984--2002. Rather than measuring performance relative to the unknown (and difficult-to-estimate) boundary of the production set, performance for a given bank is measured relative to {\it expected} maximum output...

The Stock--Watson coincident index and its subsequent extensions assume a static linear one-factor model for the component indicators. Such assumption is restrictive in practice, however, with as few as four indicators. In fact, such assumption is unnecessary if one poses the index construction...

In this presentation I view a Malmquist productivity index as a theoretical index with desirable properties. I then discuss the properties of three approximations to it: an empirical Malmquist index, and Fisher and Tornqvist indexes. Next I discuss the decomposition properties of the theoretical...

We define a segregation ordering as a ranking of cities from most segregated to least segregated. \ We propose a set of basic properties that any reasonable segregation ordering should have. \ We then fully characterize the class of segregation orderings that satisfy these basic properties. \ We...

In applied econometric literature, the causal inferences are often made based on highly temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling preserves...

The economies of the former Soviet Bloc experienced large declines in output during the decade of transition which began with the collapse of the Soviet Union in 1991. Yet there are many reasons to believe that measured output and official deflators provide a poor proxy for the change in real...

One of the key inputs for inflation targeting regime is the right identification of inflationary or disinflationary pressures. These pressures are usually approximated by the output gap. In this paper we provide an estimation of the Peruvian output gap using a multivariate unobserved component...

The aim of this paper is to identify permanent and transitory shocks. This identification is done according to the size of the shocks or the size of some other important economic variable. In order to be able to carry this identification scheme on, we introduce a new class of threshold models:...

Research over the past several years has led to development of models characterizing equilibrium in a system of local jurisdictions. More recently, there have been a number of studies which have tried to estimate these models. The evidence suggests that simple parametric models can explain the...

Filtering techniques are often applied to the estimation of dynamic latent variable models. However, these techniques are often based on a set assumptions which restrict models to be specified in a linear state-space form. Numerical filtering techniques have been propsed that avoid invoking such...